A Note on Generalizing the Savage-Dickey Density Ratio

Isabella Verdinelli and Larry Wasserman

Abstract:

We present a simple method for computing Bayes factors. The method derives from observing that, in general, a Bayes factor can be written as the product of a quantity called the ``Savage-Dickey density ratio'' and a correction factor; both terms are easily estimated from posterior simulation. In some cases, it is possible to do these computations without ever evaluating the likelihood, in contrast to some other methods.

KEY WORDS AND PHRASES: Bayes factor, hypothesis testing, Markov chain Monte Carlo.